Correlation Between Roche Holding and Bristol Myers
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Bristol Myers at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Roche Holding and Bristol Myers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Roche Holding Ltd and Bristol Myers Squibb, you can compare the effects of market volatilities on Roche Holding and Bristol Myers and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Roche Holding with a short position of Bristol Myers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Bristol Myers.
Diversification Opportunities for Roche Holding and Bristol Myers
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Roche and Bristol is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding Ltd and Bristol Myers Squibb in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bristol Myers Squibb and Roche Holding is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Roche Holding Ltd are associated (or correlated) with Bristol Myers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bristol Myers Squibb has no effect on the direction of Roche Holding i.e., Roche Holding and Bristol Myers go up and down completely randomly.
Pair Corralation between Roche Holding and Bristol Myers
Assuming the 90 days horizon Roche Holding Ltd is expected to generate 0.6 times more return on investment than Bristol Myers. However, Roche Holding Ltd is 1.67 times less risky than Bristol Myers. It trades about -0.1 of its potential returns per unit of risk. Bristol Myers Squibb is currently generating about -0.34 per unit of risk. If you would invest 3,075 in Roche Holding Ltd on February 4, 2024 and sell it today you would lose (92.00) from holding Roche Holding Ltd or give up 2.99% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 95.65% |
Values | Daily Returns |
Roche Holding Ltd vs. Bristol Myers Squibb
Performance |
Timeline |
Roche Holding |
Bristol Myers Squibb |
Roche Holding and Bristol Myers Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Roche Holding and Bristol Myers
The main advantage of trading using opposite Roche Holding and Bristol Myers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Bristol Myers can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bristol Myers will offset losses from the drop in Bristol Myers' long position.Roche Holding vs. Kiaro Holdings Corp | Roche Holding vs. GABY Inc | Roche Holding vs. Nova Cannabis | Roche Holding vs. Fire Flower Holdings |
Bristol Myers vs. Incyte | Bristol Myers vs. Sarepta Therapeutics | Bristol Myers vs. ACADIA Pharmaceuticals | Bristol Myers vs. Viking Therapeutics |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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